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Elsevier Journal of Empirical Finance Contact information of
Elsevier: http://www.elsevier.com/locate/jempfin
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2004, Volume 11, Issue 4
2004, Volume 11, Issue 3 2004, Volume 11, Issue 2 163-184 An empirical analysis of the role of the trading intensity in information dissemination on the NYSE by Spierdijk, Laura [Downloadable! (restricted)]
185-202 Industry momentum strategies and autocorrelations in stock returns by Pan, Ming-Shiun & Liano, Kartono & Huang, Gow-Cheng [Downloadable! (restricted)]
203-230 Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework by Perron, Pierre & Vodounou, Cosme [Downloadable! (restricted)]
231-246 Pre-holiday effect, large trades and small investor behaviour by Meneu, Vicente & Pardo, Angel [Downloadable! (restricted)]
247-275 Small levels of predictability and large economic gains by Xu, Yexiao [Downloadable! (restricted)]
277-308 Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure by De Rossi, Giuliano [Downloadable! (restricted)]
2004, Volume 11, Issue 1 1-27 Investor sentiment and the near-term stock market by Brown, Gregory W. & Cliff, Michael T. [Downloadable! (restricted)]
29-53 Evaluating style analysis by ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A. [Downloadable! (restricted)]
55-89 Analysis of hedge fund performance by Capocci, Daniel & Hubner, Georges [Downloadable! (restricted)]
91-107 Are scientific indicators of patent quality useful to investors? by Hirschey, Mark & Richardson, Vernon J. [Downloadable! (restricted)]
109-132 Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance by Ahn, Seung C. & Gadarowski, Christopher [Downloadable! (restricted)]
133-161 Option pricing with discrete rebalancing by Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier [Downloadable! (restricted)]
2003, Volume 10, Issue 5 533-558 Measuring and modeling systematic risk in factor pricing models using high-frequency data by Bollerslev, Tim & Zhang, Benjamin Y. B. [Downloadable! (restricted)]
559-581 Testing for differences in the tails of stock-market returns by Jondeau, Eric & Rockinger, Michael [Downloadable! (restricted)]
583-601 A Bayesian analysis of a variance decomposition for stock returns by Hollifield, Burton & Koop, Gary & Li, Kai [Downloadable! (restricted)]
603-621 Improved estimation of the covariance matrix of stock returns with an application to portfolio selection by Ledoit, Olivier & Wolf, Michael [Downloadable! (restricted)]
623-640 Nonlinear prediction of exchange rates with monetary fundamentals by Qi, Min & Wu, Yangru [Downloadable! (restricted)]
641-660 Central bank interventions and jumps in double long memory models of daily exchange rates by Beine, Michel & Laurent, Sebastien [Downloadable! (restricted)]
661-681 Preference hierarchies for internal finance, bank loans, bond, and share issues: evidence for Dutch firms by de Haan, Leo & Hinloopen, Jeroen [Downloadable! (restricted)]
2003, Volume 10, Issue 4 399-425 A nonparametric test of market timing by Jiang, Wei [Downloadable! (restricted)]
427-454 Predicting emerging market currency crashes by Kumar, Mohan & Moorthy, Uma & Perraudin, William [Downloadable! (restricted)]
455-477 Disturbing extremal behavior of spot rate dynamics by Bali, Turan G. & Neftci, Salih N. [Downloadable! (restricted)]
479-503 Volatility clustering in monthly stock returns by Jacobsen, Ben & Dannenburg, Dennis [Downloadable! (restricted)]
505-531 Univariate and multivariate stochastic volatility models: estimation and diagnostics by Liesenfeld, Roman & Richard, Jean-Francois [Downloadable! (restricted)]
2003, Volume 10, Issue 3 249-269 Trading activity and stock price volatility: evidence from the London Stock Exchange by Huang, Roger D. & Masulis, Ronald W. [Downloadable! (restricted)]
271-303 Stock splits: implications for investor trading costs by Gray, Stephen F. & Smith, Tom & Whaley, Robert E. [Downloadable! (restricted)]
305-320 How much do locals contribute to the price discovery process? by Fong, Kingsley & Zurbruegg, Ralf [Downloadable! (restricted)]
321-353 Realized volatility in the futures markets by Thomakos, Dimitrios D. & Wang, Tao [Downloadable! (restricted)]
355-371 A Bayesian analysis of dual trader informativeness in futures markets by Chakravarty, Sugato & Li, Kai [Downloadable! (restricted)]
373-397 Robust GMM analysis of models for the short rate process by Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio [Downloadable! (restricted)]
2003, Volume 10, Issue 1-2 3-56 Emerging markets finance by Bekaert, Geert & Harvey, Campbell R. [Downloadable! (restricted)]
57-80 Diversification benefits of emerging markets subject to portfolio constraints by Li, Kai & Sarkar, Asani & Wang, Zhenyu [Downloadable! (restricted)]
81-103 A simple measure of the intensity of capital controls by Edison, Hali J. & Warnock, Francis E. [Downloadable! (restricted)]
105-132 Stock selection strategies in emerging markets by van der Hart, Jaap & Slagter, Erica & van Dijk, Dick [Downloadable! (restricted)]
133-168 The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange by Cho, David D. & Russell, Jeffrey & Tiao, George C. & Tsay, Ruey [Downloadable! (restricted)]
169-198 Emerging markets and trading costs: lessons from Casablanca by Ghysels, Eric & Cherkaoui, Mouna [Downloadable! (restricted)]
199-216 Resolution of corporate distress in East Asia by Claessens, Stijn & Djankov, Simeon & Klapper, Leora [Downloadable! (restricted)]
217-248 Income inequality: the aftermath of stock market liberalization in emerging markets by Das, Mitali & Mohapatra, Sanket [Downloadable! (restricted)]
2002, Volume 9, Issue 5 475-493 An exploration of the persistence of UK unit trust performance by Fletcher, Jonathan & Forbes, David [Downloadable! (restricted)]
495-510 Market timing and return prediction under model instability by Pesaran, M. Hashem & Timmermann, Allan [Downloadable! (restricted)]
511-523 The dual contributions of information instruments in return models: magnitude and direction predictability by Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry [Downloadable! (restricted)]
525-550 Cross-sectional tests of deterministic volatility functions by Brandt, Michael W. & Wu, Tao [Downloadable! (restricted)]
551-562 Estimating daily volatility in financial markets utilizing intraday data by Bollen, Bernard & Inder, Brett [Downloadable! (restricted)]
563-588 Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach by Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C. [Downloadable! (restricted)]
589-603 Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach by Moschini, GianCarlo & Myers, Robert J. [Downloadable! (restricted)]
2002, Volume 9, Issue 4 361-371 Physical delivery versus cash settlement: an empirical study on the feeder cattle contract by Lien, Donald & Tse, Yiu Kuen [Downloadable! (restricted)]
373-397 Determinants of board composition in New Zealand: a simultaneous equations approach by Prevost, Andrew K. & Rao, Ramesh P. & Hossain, Mahmud [Downloadable! (restricted)]
399-430 The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange by Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K. [Downloadable! (restricted)]
431-454 Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average by Day, Theodore E. & Wang, Pingying [Downloadable! (restricted)]
455-474 Price discovery in floor and screen trading systems by Theissen, Erik [Downloadable! (restricted)]
2002, Volume 9, Issue 3 2002, Volume 9, Issue 2 2002, Volume 9, Issue 1 1-34 Stock selection, style rotation, and risk by Lucas, Andre & van Dijk, Ronald & Kloek, Teun [Downloadable! (restricted)]
35-56 Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis by Zhou, Anjun [Downloadable! (restricted)]
57-89 Volatility estimation on the basis of price intensities by Gerhard, Frank & Hautsch, Nikolaus [Downloadable! (restricted)]
91-108 Equity option listing in the UK: a comparison of market-based research methodologies by Hamill, Philip A. & Opong, Kwaku K. & McGregor, Pat [Downloadable! (restricted)]
109-132 Maximum likelihood estimation of deposit insurance value with interest rate risk by Duan, Jin-Chuan & Simonato, Jean-Guy [Downloadable! (restricted)]
2001, Volume 8, Issue 5 2001, Volume 8, Issue 4 345-373 Eliminating look-ahead bias in evaluating persistence in mutual fund performance by ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno [Downloadable! (restricted)]
375-401 The valuation of IPO and SEO firms by Koop, Gary & Li, Kai [Downloadable! (restricted)]
403-426 Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? by Kim, Chang-Jin & Morley, James C. & Nelson, Charles R. [Downloadable! (restricted)]
427-449 Tests of asset-pricing models: how important is the iid-normal assumption? by Groenewold, Nicolaas & Fraser, Patricia [Downloadable! (restricted)]
2001, Volume 8, Issue 3 219-242 Race to the center: competition for the Nikkei 225 futures trade by Ito, Takatoshi & Lin, Wen-Ling [Downloadable! (restricted)]
243-271 The Danish stock and bond markets: comovement, return predictability and variance decomposition by Engsted, Tom & Tanggaard, Carsten [Downloadable! (restricted)]
273-296 Volatility in stocks subject to takeover bids: Australian evidence using daily data by Hutson, Elaine & Kearney, Colm [Downloadable! (restricted)]
297-323 The joint estimation of term structures and credit spreads by Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank [Downloadable! (restricted)]
325-342 Testing and comparing Value-at-Risk measures by Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi [Downloadable! (restricted)]
2001, Volume 8, Issue 2 111-155 Testing for mean-variance spanning: a survey by DeRoon, Frans A. & Nijman, Theo E. [Downloadable! (restricted)]
157-170 Liquidity in the forward exchange market by Moore, Michael J. & Roche, Maurice J. [Downloadable! (restricted)]
171-199 Layoffs, shareholders' wealth, and corporate performance by Chen, Peter & Mehrotra, Vikas & Sivakumar, Ranjini & Yu, Wayne W. [Downloadable! (restricted)]
201-218 An analysis of second time around bankruptcies using a split-population duration model by Bandopadhyaya, Arindam & Jaggia, Sanjiv [Downloadable! (restricted)]
2001, Volume 8, Issue 1 1-34 Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis by Hafner, Christian M. & Herwartz, Helmut [Downloadable! (restricted)]
35-54 What causes home asset bias and how should it be measured? by Glassman, Debra A. & Riddick, Leigh A. [Downloadable! (restricted)]
55-81 Coskewness and cokurtosis in futures markets by Christie-David, Rohan & Chaudhry, Mukesh [Downloadable! (restricted)]
83-110 Recovering the probability density function of asset prices using garch as diffusion approximations by Fornari, Fabio & Mele, Antonio [Downloadable! (restricted)]
2000, Volume 7, Issue 3-4 225-245 Sensitivity analysis of Values at Risk by Gourieroux, C. & Laurent, J. P. & Scaillet, O. [Downloadable! (restricted)]
247-269 Portfolio selection with limited downside risk by Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G. [Downloadable! (restricted)]
271-300 Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach by McNeil, Alexander J. & Frey, Rudiger [Downloadable! (restricted)]
301-315 Horizon sensitivity of the inflation hedge of stocks by Schotman, Peter C. & Schweitzer, Mark [Downloadable! (restricted)]
317-344 Firms, do you know your currency risk exposure? Survey results by Loderer, Claudio & Pichler, Karl [Downloadable! (restricted)]
345-372 Volatility dynamics under duration-dependent mixing by Maheu, John M. & McCurdy, Thomas H. [Downloadable! (restricted)]
373-388 Stochastic correlation across international stock markets by Ball, Clifford A. & Torous, Walter N. [Downloadable! (restricted)]
389-416 Diagnosing and treating the fat tails in financial returns data by Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T. [Downloadable! (restricted)]
2000, Volume 7, Issue 5 2000, Volume 7, Issue 2 113-141 Conditional event studies, anticipation, and asymmetric information: the case of seasoned equity issues and pre-issue information releases by Guo, Lin & Mech, Timothy S. [Downloadable! (restricted)]
143-153 Three analyses of the firm size premium by Horowitz, Joel L. & Loughran, Tim & Savin, N. E. [Downloadable! (restricted)]
155-172 Visualizing time-varying correlations across stock markets by Groenen, Patrick J. F. & Franses, Philip Hans [Downloadable! (restricted)]
195-223 The ordered mean difference as a portfolio performance measure by Bowden, Roger J. [Downloadable! (restricted)]
2000, Volume 7, Issue 1 1999, Volume 6, Issue 5 431-455 Computing value at risk with high frequency data by Beltratti, Andrea & Morana, Claudio [Downloadable! (restricted)]
457-477 Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon by Andersen, Torben G. & Bollerslev, Tim & Lange, Steve [Downloadable! (restricted)]
479-513 The intraday multivariate structure of the Eurofutures markets by Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B. [Downloadable! (restricted)]
515-553 Multivariate extremes for models with constant conditional correlations by Starica, Catalin [Downloadable! (restricted)]
555-582 Speculative attacks to currency target zones: A market microstructure approach by Carrera, Jose M. [Downloadable! (restricted)]
583-607 Pricing behavior in an off-hours computerized market by Coppejans, Mark & Domowitz, Ian [Downloadable! (restricted)]
1999, Volume 6, Issue 4 335-353 Multivariate unit root tests of the PPP hypothesis by Flores, Renato & Jorion, Philippe & Preumont, Pierre-Yves & Szafarz, Ariane [Downloadable! (restricted)]
355-384 Mean reversion in Southeast Asian stock markets by Malliaropulos, Dimitrios & Priestley, Richard [Downloadable! (restricted)]
385-404 Cross-correlations and cross-bicorrelations in Sterling exchange rates by Brooks, Chris & Hinich, Melvin J. [Downloadable! (restricted)]
405-429 Anomalous security price behavior following management earnings forecasts by Liu, Chao-Shin & Ziebart, David A. [Downloadable! (restricted)]
1999, Volume 6, Issue 3 219-241 Testing multi-beta asset pricing models by Velu, Raja & Zhou, Guofu [Downloadable! (restricted)]
243-265 An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence by Marquering, Wessel & Verbeek, Marno [Downloadable! (restricted)]
267-282 The behaviour of some UK equity indices: An application of Hurst and BDS tests1 by Opong, Kwaku K. & Mulholland, Gwyneth & Fox, Alan F. & Farahmand, Kambiz [Downloadable! (restricted)]
283-308 Structural change and time dependence in models of stock returns by Kim, Dongcheol & Kon, Stanley J. [Downloadable! (restricted)]
309-331 A primer on hedge funds by Fung, William & Hsieh, David A. [Downloadable! (restricted)]
1999, Volume 6, Issue 2 1999, Volume 6, Issue 1 1998, Volume 5, Issue 4 1998, Volume 5, Issue 3 177-195 Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI by Beaulieu, Marie-Claude [Downloadable! (restricted)]
197-220 Hedging foreign currency portfolios by Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H. [Downloadable! (restricted)]
241-261 Real interest rates and shifts in macroeconomic volatility by Koedijk, Kees & Kool, Clemens & Nissen, Francois [Downloadable! (restricted)]
263-279 On the hypothesis of psychological barriers in stock markets and Benford's Law by De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom [Downloadable! (restricted)]
281-296 International evidence on the stock market and aggregate economic activity by Cheung, Yin-Wong & Ng, Lilian K. [Downloadable! (restricted)]
1998, Volume 5, Issue 2 1998, Volume 5, Issue 1 1997, Volume 4, Issue 2-3 73-114 High frequency data in financial markets: Issues and applications by Goodhart, Charles A. E. & O'Hara, Maureen [Downloadable! (restricted)]
115-158 Intraday periodicity and volatility persistence in financial markets by Andersen, Torben G. & Bollerslev, Tim [Downloadable! (restricted)]
187-212 Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model by Engle, Robert F. & Russell, Jeffrey R. [Downloadable! (restricted)]
213-239 Volatilities of different time resolutions -- Analyzing the dynamics of market components by Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E. [Downloadable! (restricted)]
259-277 High frequency analysis of lead-lag relationships between financial markets by de Jong, Frank & Nijman, Theo [Downloadable! (restricted)]
279-293 Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange by Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar [Downloadable! (restricted)]
1997, Volume 4, Issue 4 1997, Volume 4, Issue 1 1996, Volume 3, Issue 4 1996, Volume 3, Issue 3 1996, Volume 3, Issue 2 1996, Volume 3, Issue 1 1996, Volume 2, Issue 4 295-306 A cross-section test of the present value model by Bulkley, George & Taylor, Nick [Downloadable! (restricted)]
307-331 The firm's leverage-cash flow relationship by Shenoy, Catherine & Koch, Paul D. [Downloadable! (restricted)]
333-342 Time-varying risk The case of the American computer industry by Gonzalez-Rivera, Gloria [Downloadable! (restricted)]
343-357 Purchasing power parity, unit roots, and dynamic structure by Steigerwald, Douglas G. [Downloadable! (restricted)]
359-388 Price dynamics in refined petroleum spot and futures markets by Ng, Victor K. & Pirrong, Stephen Craig [Downloadable! (restricted)]
1995, Volume 2, Issue 3 173-197 The structure of international stock returns and the integration of capital markets by Heston, Steven L. & Rouwenhorst, K. Geert & Wessels, Roberto E. [Downloadable! (restricted)]
199-223 Testing for continuous-time models of the short-term interest rate by Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel [Downloadable! (restricted)]
225-251 The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data by Ghose, Devajyoti & Kroner, Kenneth F. [Downloadable! (restricted)]
253-264 A note on the relationship between GARCH and symmetric stable processes by Groenendijk, Patrick A. & Lucas, Andre & de Vries, Casper G. [Downloadable! (restricted)]
265-276 Testing for a time-varying risk premiumin the returns to U.S. farmland by Hanson, Steven D. & Myers, Robert J. [Downloadable! (restricted)]
277-293 A statistical correlation dimension by Mayer-Foulkes, David [Downloadable! (restricted)]
1995, Volume 2, Issue 2 117-133 International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States by Kim, Sang W. & Rogers, John H. [Downloadable! (restricted)]
135-151 Stock prices, dividends and retention: Long-run relationships and short-run dynamics by MacDonald, Ronald & Power, David [Downloadable! (restricted)]
153-163 Speculative bubbles with stochastic explosive roots: The failure of unit root testing by Charemza, Wojciech W. & Deadman, Derek F. [Downloadable! (restricted)]
165-172 Market closures and time-varying volatility in the Australian equity market by Brailsford, Timothy J. [Downloadable! (restricted)]
1995, Volume 2, Issue 1 1994, Volume 1, Issue 3-4 0 |1 |2 Access
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IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .